SPX Options History — December 2010

In December 2010, SPX traded between $1205.23 and $1261.15. ATM implied volatility averaged 14.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.9% (HV 20d: 13.8%). Max pain ranged from $1155.00 to $1200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.67.

Notable Days

2010-12-10: Highest Volume — 802,483 contracts
2010-12-13: Largest IV spike — 12.2% change
2010-12-01: Highest IV Rank — 25.7%
2010-12-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1241.80	$1205.23	$1261.15	$1205.23	$1261.15
Max Pain	$1189.09	$1155.00	$1200.00	$1155.00	$1200.00
ATM IV	14.7%	12.6%	18.1%	18.1%	12.6%
Expected Move	4.3%	3.8%	5.3%	5.3%	4.2%
HV 20d	13.8%	4.4%	18.1%	17.4%	4.4%
HV 60d	12.5%	11.4%	13.2%	12.9%	11.4%
IV Rank	15.4%	9.2%	25.7%	25.7%	9.2%
IV Percentile	19.1%	5.2%	45.2%	45.2%	5.2%
Term Structure	1.2%	0.3%	2.3%	1.0%	1.8%
VWIV	16.7%	14.9%	19.5%	19.5%	16.3%
Skew 25d	3.9%	2.8%	5.4%	5.4%	4.0%
Skew 10d	8.1%	5.8%	10.7%	10.7%	8.8%
Call IV 25d	13.4%	11.6%	16.2%	16.2%	13.2%
Put IV 25d	17.3%	15.4%	21.6%	21.6%	17.2%
Bid-Ask Spread %	33.78	17.62	60.22	17.62	60.22
Gamma HHI	0.07	0.05	0.16	0.05	0.05
Net GEX	6.01B	2.52B	11.35B	2.52B	3.72B
Net DEX	-197.26B	-320.61B	-106.90B	-143.01B	-128.24B
Net VEX	-1.80B	-1.92B	-1.74B	-1.92B	-1.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	1.10	2.73	1.67	2.03
Total Volume	530,239.682	162,209	802,483	693,966	225,977
Total OI	13,356,867.364	9,547,756	17,054,846	14,966,413	10,473,217

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$1205.23	$1155.00	18.1%	5.3%	17.4%	25.7%	19.5%	5.4%	1.0%	2.52B	-143.01B	-1.92B	1.67	17.62	260,012	433,954	5,533,250	9,433,163
2010-12-02	$1224.08	$1155.00	16.4%	4.6%	18.1%	20.5%	17.7%	4.2%	0.5%	6.21B	-213.10B	-1.85B	1.58	21.52	279,162	440,526	5,548,273	9,556,270
2010-12-03	$1223.65	$1160.00	15.2%	4.3%	17.1%	17.0%	15.8%	3.7%	0.6%	5.92B	-217.37B	-1.81B	1.31	21.93	240,930	316,612	5,579,146	9,569,502
2010-12-06	$1222.45	$1175.00	15.5%	4.6%	17.1%	17.8%	17.1%	3.6%	0.3%	5.38B	-211.40B	-1.78B	1.31	40.63	261,073	342,595	5,624,123	9,654,188
2010-12-07	$1222.90	$1175.00	15.3%	4.6%	17.1%	17.3%	17.4%	3.1%	0.6%	5.82B	-221.62B	-1.78B	1.28	43.59	347,344	446,162	5,693,125	9,741,710
2010-12-08	$1229.02	$1175.00	14.9%	4.5%	16.9%	16.1%	18.1%	3.3%	0.7%	6.92B	-245.84B	-1.78B	2.10	42.82	193,684	406,067	5,778,115	9,890,953
2010-12-09	$1233.00	$1180.00	13.5%	4.2%	17.0%	11.9%	17.4%	2.8%	0.6%	7.97B	-264.86B	-1.74B	1.33	43.89	259,315	343,891	5,834,442	10,084,100
2010-12-10	$1240.40	$1185.00	14.6%	4.3%	17.0%	15.1%	17.0%	3.0%	0.5%	10.88B	-296.92B	-1.76B	1.48	44.96	323,504	478,979	5,953,757	10,170,064
2010-12-13	$1241.27	$1200.00	16.3%	4.5%	16.1%	20.4%	17.4%	4.5%	0.9%	9.98B	-305.96B	-1.75B	1.26	43.24	301,424	378,965	6,040,154	10,264,117
2010-12-14	$1241.66	$1200.00	14.8%	4.6%	16.1%	15.8%	17.2%	4.3%	0.6%	9.48B	-308.42B	-1.77B	1.10	41.03	326,440	358,799	6,142,196	10,436,097
2010-12-15	$1236.84	$1200.00	16.1%	4.6%	14.6%	19.6%	17.1%	4.6%	0.9%	7.58B	-295.24B	-1.78B	1.12	39.76	324,820	362,832	6,225,306	10,555,749
2010-12-16	$1242.87	$1200.00	15.2%	4.4%	14.6%	17.0%	17.5%	4.5%	1.3%	11.35B	-320.61B	-1.80B	1.10	38.79	302,625	331,469	6,371,226	10,683,620
2010-12-17	$1242.80	$1200.00	14.1%	4.0%	13.6%	13.6%	15.9%	3.9%	1.5%	3.25B	-106.90B	-1.79B	2.44	34.85	177,689	433,977	3,561,941	5,985,815
2010-12-20	$1245.85	$1200.00	13.9%	4.0%	13.6%	13.1%	16.7%	4.2%	1.8%	3.20B	-111.99B	-1.79B	1.90	33.14	130,680	247,853	3,655,968	6,190,190
2010-12-21	$1255.09	$1200.00	13.8%	4.0%	13.6%	12.9%	15.6%	3.9%	1.5%	4.10B	-127.89B	-1.79B	1.54	20.84	167,299	257,562	3,688,963	6,325,682
2010-12-22	$1258.84	$1200.00	13.1%	3.8%	11.9%	10.8%	15.3%	3.8%	1.8%	5.15B	-139.29B	-1.78B	2.73	23.84	154,970	423,523	3,760,793	6,409,682
2010-12-23	$1256.77	$1200.00	13.9%	4.0%	11.0%	13.0%	15.5%	4.0%	2.3%	3.96B	-132.05B	-1.81B	1.95	30.89	113,048	219,885	3,831,466	6,679,075
2010-12-27	$1257.36	$1200.00	14.7%	4.2%	9.8%	15.4%	16.5%	4.2%	1.6%	4.20B	-131.22B	-1.82B	2.05	23.06	53,124	109,085	3,866,651	6,747,464
2010-12-28	$1259.11	$1200.00	14.2%	4.1%	9.8%	13.9%	16.8%	3.6%	2.2%	4.52B	-135.26B	-1.80B	1.44	24.20	113,346	163,414	3,892,040	6,783,128
2010-12-29	$1260.48	$1200.00	14.1%	4.1%	9.3%	13.8%	14.9%	3.4%	1.8%	5.23B	-143.09B	-1.79B	1.77	24.87	97,164	172,372	3,935,655	6,842,323
2010-12-30	$1258.76	$1200.00	12.6%	4.0%	6.7%	9.2%	15.9%	3.7%	2.2%	4.86B	-139.38B	-1.79B	2.30	27.43	103,909	239,212	3,969,540	6,888,843
2010-12-31	$1261.15	$1200.00	12.6%	4.2%	4.4%	9.2%	16.3%	4.0%	1.8%	3.72B	-128.24B	-1.83B	2.03	60.22	74,693	151,284	3,895,993	6,577,224